Modelling and computation of optimal decision for farmers leasing lands

DOI10.1080/00207160.2015.1080358zbMath1339.35308OpenAlexW2215851522MaRDI QIDQ2804508

Wenguang Tang, Shuhua Chang

Publication date: 29 April 2016

Published in: International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207160.2015.1080358

zbMATH Keywords

finite difference methodconvenience yieldreal optionpower penalty approachpartial differential complementarity problem

Mathematics Subject Classification ID

Financial applications of other theories (91G80) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Numerical methods for variational inequalities and related problems (65K15) PDEs in connection with statistics (35Q62)

Cites Work

• Power penalty method for a linear complementarity problem arising from American option valuation
• A fitted finite volume method for the valuation of options on assets with stochastic volatilities
• An Algorithmic Introduction to Numerical Simulation of Stochastic Differential Equations
• Quadratic Convergence for Valuing American Options Using a Penalty Method
• Insights on the Effect of Land Use Choice: The Perpetual Option on the Best of Two Underlying Assets
• The Risk Structure of Land Markets
• A novel fitted finite volume method for the Black-Scholes equation governing option pricing

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